The micro-price: a high-frequency estimator of future prices
利用高频数据估计的微价格，在预测短期价格方面优于中间价或加权中间价，对高频交易者和市场微观结构研究者有参考价值。
The micro-price estimated using high-frequency data is empirically a better predictor of short-term prices than the mid-price or the weighted mid-price